First you don't actually convert your VSP into an MPEG, you create a video file (MPEG).

Since you are ready to create a video file, go to
1.Share Tab.
2. Click on the Icon Create Video File.
3. You will see a long list of Templates. You need to decide what your video is going to be used as, a DVD, viewing on the internet, sending in an email.. You apparently do not want to burn a DVD, correct?
4. Choose one of the WMV templates, or maybe an MPEG. I don't know what version of WMP you have, but WMP 10 can play MPEG2. So you could proceed to create a DVD compliant video file.